Well, this'll be enough to start another caliber war. I'll say at the outset that any and all of the service-sized calibers you mentioned work fine for defense. My general opinion is that people put way too much mental energy into the minutiae of caliber and bullet selection, when all popular calibers will do fine if shot well.
9mm is fine with good modern JHPs. It has light recoil and is less expensive to shoot than the others.
.357SIG is more powerful, at least on paper, than 9mm and kicks harder/snappier. It is quite a bit more expensive to shoot and harder to find.
.40S&W is more powerful than 9mm and also kicks harder/snappier.
.45ACP works well with practically any bullet design. It kicks harder than 9mm but isn't snappy. Guns for .45ACP have to be made bigger than the others.
Pick what you like, but remember that in the grand scheme of self-defense, the particular caliber chosen is among the least relevant factors.